Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability

Qian Li; Xiangyu Cui; Yun Shi

doi:10.1109/CCDC58219.2023.10327227

Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability

Qian Li^*
, Xiangyu Cui
, Yun Shi

^*此作品的通讯作者

统计学院

Nanjing University of Posts and Telecommunications
Shanghai University of Finance and Economics

科研成果: 书/报告/会议事项章节 › 会议稿件 › 同行评审

摘要

We derive a semi-explicit solution to a multi-period mean-variance portfolio selection problem with return and risk predictability. Specifically, we assume that asset return and risk are predicted by a factor structure. The semi-explicit optimal portfolio policy is a linear function of current wealth level and the linear coefficients are characterized by a random process.

源语言	英语
主期刊名	Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023
出版商	Institute of Electrical and Electronics Engineers Inc.
页	1999-2002
页数	4
ISBN（电子版）	9798350334722
DOI	https://doi.org/10.1109/CCDC58219.2023.10327227
出版状态	已出版 - 2023
活动	35th Chinese Control and Decision Conference, CCDC 2023 - Yichang, 中国期限: 20 5月 2023 → 22 5月 2023

出版系列

姓名	Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023

会议

会议	35th Chinese Control and Decision Conference, CCDC 2023
国家/地区	中国
市	Yichang
时期	20/05/23 → 22/05/23

访问文件

10.1109/CCDC58219.2023.10327227

其它文件与链接

链接到 Scopus 的出版物

引用此

Li, Q., Cui, X., & Shi, Y. (2023). Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability. 在 Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023 (页码 1999-2002). (Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CCDC58219.2023.10327227

@inproceedings{1a63ca8f6d3840e28e21a931249e53ea,

title = "Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability",

abstract = "We derive a semi-explicit solution to a multi-period mean-variance portfolio selection problem with return and risk predictability. Specifically, we assume that asset return and risk are predicted by a factor structure. The semi-explicit optimal portfolio policy is a linear function of current wealth level and the linear coefficients are characterized by a random process.",

keywords = "mean-variance portfolio selection, return predictability, risk predictability",

author = "Qian Li and Xiangyu Cui and Yun Shi",

note = "Publisher Copyright: {\textcopyright} 2023 IEEE.; 35th Chinese Control and Decision Conference, CCDC 2023 ; Conference date: 20-05-2023 Through 22-05-2023",

year = "2023",

doi = "10.1109/CCDC58219.2023.10327227",

language = "英语",

series = "Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "1999--2002",

booktitle = "Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023",

address = "美国",

}

Li, Q, Cui, X & Shi, Y 2023, Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability. 在 Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023. Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023, Institute of Electrical and Electronics Engineers Inc., 页码 1999-2002, 35th Chinese Control and Decision Conference, CCDC 2023, Yichang, 中国, 20/05/23. https://doi.org/10.1109/CCDC58219.2023.10327227

Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability. / Li, Qian; Cui, Xiangyu; Shi, Yun.
Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023. Institute of Electrical and Electronics Engineers Inc., 2023. 页码 1999-2002 (Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023).

科研成果: 书/报告/会议事项章节 › 会议稿件 › 同行评审

TY - GEN

T1 - Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability

AU - Li, Qian

AU - Cui, Xiangyu

AU - Shi, Yun

PY - 2023

Y1 - 2023

N2 - We derive a semi-explicit solution to a multi-period mean-variance portfolio selection problem with return and risk predictability. Specifically, we assume that asset return and risk are predicted by a factor structure. The semi-explicit optimal portfolio policy is a linear function of current wealth level and the linear coefficients are characterized by a random process.

AB - We derive a semi-explicit solution to a multi-period mean-variance portfolio selection problem with return and risk predictability. Specifically, we assume that asset return and risk are predicted by a factor structure. The semi-explicit optimal portfolio policy is a linear function of current wealth level and the linear coefficients are characterized by a random process.

KW - mean-variance portfolio selection

KW - return predictability

KW - risk predictability

UR - https://www.scopus.com/pages/publications/85181817496

U2 - 10.1109/CCDC58219.2023.10327227

DO - 10.1109/CCDC58219.2023.10327227

M3 - 会议稿件

AN - SCOPUS:85181817496

T3 - Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023

SP - 1999

EP - 2002

BT - Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 35th Chinese Control and Decision Conference, CCDC 2023

Y2 - 20 May 2023 through 22 May 2023

ER -

Li Q, Cui X, Shi Y. Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability. 在 Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023. Institute of Electrical and Electronics Engineers Inc. 2023. 页码 1999-2002. (Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023). doi: 10.1109/CCDC58219.2023.10327227

Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability

摘要

出版系列

会议

访问文件

其它文件与链接

指纹

引用此